Probability Analysis: Tools for SPY Options Trading
Hover over any point on the chart to see the probability of expiring above that strike price!
Expected Move Formula
\( EM = S \times \sigma \times std \times \sqrt{\tfrac{DTE}{365}} \)
- Volatility σ: VIX as the proxy value for SPY options pricing.
- Probability Analysis: The probability of expiring above one strike price on a certain day is measured by option deltas.
SPY Expected Move
| Expiration | Dec 08 (3D) | Dec 09 (4D) | Dec 10 (5D) | Dec 11 (6D) | Dec 12 (7D) | Dec 15 (10D) | Dec 16 (11D) | Dec 17 (12D) | Dec 18 (13D) | Dec 19 (14D) | Dec 26 (21D) |
|---|---|---|---|---|---|---|---|---|---|---|---|
| lower | 676.086 | 674.608 | 673.306 | 672.129 | 671.046 | 668.197 | 667.346 | 666.532 | 665.752 | 665.001 | 660.363 |
| upper | 695.194 | 696.672 | 697.974 | 699.151 | 700.234 | 703.083 | 703.934 | 704.748 | 705.528 | 706.279 | 710.917 |
| expected move | 9.554 | 11.032 | 12.334 | 13.511 | 14.594 | 17.443 | 18.294 | 19.108 | 19.888 | 20.639 | 25.277 |
Nianguang Zhao '25G, Master's in Financial Engineering at Lehigh University | Aspiring Quant | Cleared CFA Level 1
